Reliable real estate price indicators are typically published at city level and low frequency, limiting their use for neighborhood-scale monitoring and long-horizon planning. We study whether sub-city price indices can be forecasted at weekly frequency by combining physical development signals from
We study the Merton portfolio management problem within a complete market, non constant time discount rate and general utility framework. The non constant discount rate introduces time inconsistency which can be solved by introducing sub game perfect strategies. Under some asymptotic assumptions on
For a class of stochastic models with Gaussian and rough mean-reverting volatility that embeds the genuine rough Stein-Stein model, we study the weak approximation rate when using a Euler type scheme with integrated kernels. Our first result is a weak convergence rate for the discretised rough Ornst
This study establishes the causal effects of market sentiment on firm profitability, moving beyond traditional correlational analyses. It leverages a causal forest machine learning methodology to control for numerous confounding variables, enabling systematic analysis of heterogeneity and non-linear
Portfolio Management is the process of overseeing a group of investments, referred to as a portfolio, with the objective of achieving predetermined investment goals. Portfolio optimization is a key component that involves allocating the portfolio assets so as to maximize returns while minimizing ris
In this paper, we analyse the impacts of exogenous and endogenous factors on wealth distribution in the Bitcoin token economy, where wealth distribution refers to the distribution of BTC between economic participants or groups of economic participants. The objective of the paper is to analyse the im
We explore local risk-minimization, a quadratic hedging method for incomplete markets, in exponential additive models. The objectives are to derive explicit mathematical expressions and to conduct numerical experiments. While local risk-minimization is well studied for Lévy processes, little is know
This study identifies and quantifies a significant informational friction embedded in the SEC Form 144 disclosure regime, characterized as predictive decoupling. Drawing on a theoretical foundation of welfare economics, the article argues that the current reporting inversion – where trade execution
Traditional models of market efficiency assume that equity prices incorporate information based on content alone, often neglecting the structural influence of reporting timing and cadence. This study introduces the Autonomous Disclosure Regulator, a multi-node AI framework designed to audit the inte
Calibration to a surface of option prices requires specifying a suitably flexible martingale model for the discounted asset price under a risk-neutral measure. Assuming Brownian noise and mean-square integrability, we construct an over-parameterized model based on the martingale representation theor
Caratheodory’s axiom of adiabatic inaccessibility states that, in any neighborhood of a thermodynamic state, certain states remain unreachable via adiabatic processes. Non-arbitrage mirrors this topological restriction in finance. Preserving this constraint in resource-limited systems identifies the
Modern financial networks are highly connected and result in complex interdependencies of the involved institutions. In the prominent Eisenberg-Noe model, a fundamental aspect is clearing – to determine the amount of assets available to each financial institution in the presence of potential defaul
We study entropy-regularized mean-variance portfolio optimization under Bayesian drift uncertainty. Gaussian policies remain optimal under partial information, the value function is quadratic in wealth, and belief-dependent coefficients admit closed-form solutions. The mean control is identical to d
Money-back guarantees (MBGs) are features of pooled retirement income products that address bequest concerns by ensuring the initial premium is returned through lifetime payments or, upon early death, as a death benefit to the estate. This paper studies optimal retirement decumulation in an individu
We study Stackelberg Equilibria (Bowley optima) in a monopolistic centralized sequential-move insurance market, with a profit-maximizing insurer who sets premia using a distortion premium principle, and a single policyholder who seeks to minimize a distortion risk measure. We show that equilibria ar
The chain-ladder (CL) method is the most widely used claims reserving technique in non-life insurance. This manuscript introduces a novel approach to computing the CL reserves based on a fundamental restructuring of the data utilization for the CL prediction procedure. Instead of rolling forward the
We analyze numerically the performance of Quantum Reservoir Computing (QRC) for statistical and financial problems. We use a reservoir composed of two superconducting islands coupled via their charge degrees of freedom. The key non-linear elements that provide the reservoir with rich and complex dyn
Financial structures such as securitisations, insurance contracts, and other hierarchical claims systems can be interpreted as deterministic allocation mechanisms acting on stochastic inflow processes. This paper develops a general computational representation of such structures by separating the st
Quasi Monte Carlo (QMC) and Global Sensitivity Analysis (GSA) techniques are applied for pricing and hedging representative financial instruments of increasing complexity. We compare standard Monte Carlo (MC) vs QMC results using Sobol’ low discrepancy sequences, different sampling strategies, and v
Autodeleveraging (ADL) is a last-resort loss socialization mechanism used by perpetual futures venues when liquidation and insurance buffers are insufficient to restore solvency. Despite the scale of perpetual futures markets, ADL has received limited formal treatment as a sequential control problem